Results 71 to 80 of about 1,678 (198)

Specification Tests for Jump‐Diffusion Models Based on the Characteristic Function

International Statistical Review, EarlyView.
Summary Goodness‐of‐fit tests are suggested for several popular jump‐diffusion processes. The suggested test statistics utilise the marginal characteristic function of the model and its L2‐type discrepancy from an empirical counterpart. Model parameters are estimated either by minimising the aforementioned L2‐type discrepancy or by maximum likelihood ...
Gerrit Lodewicus Grobler, Denis Belomestny, Simos George Meintanis, Emanuele Taufer   +3 more
wiley   +1 more source

CEO Narcissism and Related Party Transactions

Journal of Business Finance &Accounting, EarlyView.
ABSTRACT We examine the association between CEO narcissism and the likelihood of engaging in related party transactions (RPTs) and its influence on the value implications of these transactions. Furthermore, we investigate the effect of board monitoring on the relationship between CEO narcissism and the value effects of RPTs. We find that CEO narcissism
Anwer S. Ahmed, Bilal Al‐Dah, Mustafa A. Dah, Moataz El‐Helaly   +3 more
wiley   +1 more source

Adaptive Wavelet Precise Integration Method for Nonlinear Black-Scholes Model Based on Variational Iteration Method

Abstract and Applied Analysis, 2013
An adaptive wavelet precise integration method (WPIM) based on the variational iteration method (VIM) for Black-Scholes model is proposed. Black-Scholes model is a very useful tool on pricing options.
Huahong Yan
doaj   +1 more source

Unveiling Synergy Gains in Divestitures Using Options Market Information1

Journal of Business Finance &Accounting, EarlyView.
ABSTRACT We use stock and options information to decompose and provide a practical measure of the market's beliefs about the different sources of value creation from divestitures. We find that divestitures generate economically significant synergy gains that exceed $1 billion for both acquirers and sellers.
Vinay Patel, David Michayluk, Anirudh Dhawan   +2 more
wiley   +1 more source

Why do firms strategically delay payments of corporate loans?

Journal of Financial Research, EarlyView.
Abstract Firms may prefer to delay some loan payments while continuing to service others because of lender and loan characteristics. I explore the impact of bank‐level and bank‐firm‐level indicators on the strategic delay behaviors of nonfinancial corporations. Three factors play a key role in their strategic delay decisions.
Ahmet Deryol
wiley   +1 more source

Segment information disclosure and trade credit

Journal of Financial Research, EarlyView.
Abstract We examine the effect of mandatory segment disclosure on trade credit financing. Segment disclosure reduces the information advantage of suppliers relative to investors in evaluating firm default risk, reducing firms' reliance on trade credit. Exploiting the adoption of SFAS 131 as a shock to segment disclosure, we find that segment disclosure
Obada Almajali, Phil Holmes, Bin Xu
wiley   +1 more source

Using a Mix of Finite Difference Methods and Fractional Differential Transformations to Solve Modified Black–Scholes Fractional Equations

Mathematics
This paper discusses finding solutions to the modified Fractional Black–Scholes equation. As is well known, the options theory is beneficial in the stock market.
Agus Sugandha, Endang Rusyaman, Sukono, Ema Carnia   +3 more
doaj   +1 more source

Parenthood and CEO Responses to Media Criticism on Pay

Journal of Management Studies, EarlyView.
Abstract Research on media coverage of controversial corporate practices typically suggests firms respond instrumentally to mitigate stakeholder reactions. However, we argue that CEOs' moral concerns can sometimes override strategic considerations, because media criticism may expose them to scrutiny from personally valued audiences – for instance ...
Steffen Brenner, Georg Wernicke
wiley   +1 more source

CALCULATION OF ASIAN OPTIONS FOR THE BLACK–SCHOLES MODEL [PDF]

Vestnik Tomskogo gosudarstvennogo universiteta. Matematika i mekhanika, 2018
Summary: The paper deals with one of fundamental problems of financial mathematics, namely, allocation of resources between financial assets to ensure sufficient payments. When constructing mathematical models of the dynamics of financial indicators, various classes of random processes with discrete and continuous time are used.
openaire   +3 more sources

Contingent capital: A tale of two valuations

Journal of Risk and Insurance, EarlyView.
Abstract This study investigates the valuation gap between buyers and sellers of insurers' contingent capital, driven by asymmetric exposures to tax benefits, capital injections, and bankruptcy costs. We develop a novel Twin‐Tree Model with Jumps (TTMJ) that models the insurer's asset value dynamics by incorporating catastrophe risk, insolvency risk ...
Tian‐Shyr Dai, Chien‐Ling Lo, You‐Jia Sun, Hao‐Han Chang   +3 more
wiley   +1 more source